| Publication | Date of Publication | Type |
|---|
A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
Computational Management Science | 2022-10-24 | Paper |
Bias-optimal vol-of-vol estimation: the role of window overlapping
Decisions in Economics and Finance | 2022-06-17 | Paper |
The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
European Journal of Operational Research | 2021-06-07 | Paper |
Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
European Journal of Operational Research | 2019-02-11 | Paper |
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
Quantitative Finance | 2018-11-19 | Paper |
A calibration procedure for analyzing stock price dynamics in an agent-based framework
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
From bond yield to macroeconomic instability: a parsimonious affine model
European Journal of Operational Research | 2017-12-06 | Paper |
A perturbative approach to acoustic scattering from a vibrating bounded obstacle
Journal of Computational Acoustics | 2017-05-09 | Paper |
Fourier-Malliavin Volatility Estimation
SpringerBriefs in Quantitative Finance | 2017-01-06 | Paper |
An explicitly solvable Heston model with stochastic interest rate
European Journal of Operational Research | 2016-10-07 | Paper |
A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
Insurance Mathematics & Economics | 2015-01-28 | Paper |
The use of statistical tests to calibrate the normal SABR model
Journal of Inverse and Ill-Posed Problems | 2013-09-26 | Paper |
The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
Journal of Probability and Statistics | 2012-06-19 | Paper |
A gradient like algorithm for linearly constrained multi-objective optimization
Far East Journal of Applied Mathematics | 2012-06-18 | Paper |
| The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods | 2011-01-15 | Paper |
A method to solve an acoustic inverse scattering problem involving smart obstacles
Waves in Random and Complex Media | 2010-07-30 | Paper |
Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood
Inverse Problems in Science and Engineering | 2010-01-26 | Paper |
Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model
Discrete and Continuous Dynamical Systems | 2009-07-03 | Paper |
Analysis of quadrature methods for pricing discrete barrier options
Journal of Economic Dynamics and Control | 2009-05-18 | Paper |
A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term
Nonlinear Analysis. Hybrid Systems | 2009-03-09 | Paper |
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
Japanese Journal of Mathematics. 3rd Series | 2009-02-06 | Paper |
| High performance algorithms based on a new wavelet expansion for time dependent acoustic obstacle scattering | 2008-11-24 | Paper |
Box-constrained multi-objective optimization: A gradient-like method without ``a priori scalarization
European Journal of Operational Research | 2008-03-11 | Paper |
Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
Journal of Inverse and Ill-posed Problems | 2007-12-17 | Paper |
A numerical method to solve an acoustic inverse scattering problem involving ghost obstacles
Journal of Inverse and Ill-posed Problems | 2007-07-27 | Paper |
| A spectral approach to solve box-constrained multi-objective optimization problems | 2007-05-09 | Paper |
Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering
Journal of Engineering Mathematics | 2007-03-14 | Paper |
| Mathematical models of ``active obstacles in acoustic scattering | 2006-08-28 | Paper |
Direct and inverse acoustic scattering problems involving smart obstacles
Journal of Inverse and Ill-posed Problems | 2006-04-28 | Paper |
Spectral concentration phenomena for the Laplace operator with the Dirichlet boundary condition on a cavity
Proceedings of the Royal Society of Edinburgh: Section A Mathematics | 2005-09-12 | Paper |
| scientific article; zbMATH DE number 2143160 (Why is no real title available?) | 2005-03-10 | Paper |
Furtivity and masking problems in time-dependent electromagnetic obstacle scattering.
Journal of Optimization Theory and Applications | 2005-01-11 | Paper |
A path following method for box-constrained multiobjective optimization with applications to goal programming problems
Mathematical Methods of Operations Research | 2004-03-07 | Paper |
| scientific article; zbMATH DE number 2042413 (Why is no real title available?) | 2004-02-15 | Paper |
The Use of Wavelets in the Operator Expansion Method for Time-Dependent Acoustic Obstacle Scattering
SIAM Journal on Scientific Computing | 2004-01-20 | Paper |
A new formalism for time-dependent electromagnetic scattering from a bounded obstacle
Journal of Engineering Mathematics | 2004-01-14 | Paper |
A hybrid method for pricing European options based on multiple assets with transaction costs
Applied Mathematical Finance | 2002-09-04 | Paper |
Quadratically convergent method for simultaneously approaching the roots of polynomial solutions of a class of differential equations: Application to orthogonal polynomials
Numerical Algorithms | 2002-03-26 | Paper |
An interior point algorithm for global optimal solutions and KKT points
Optimization Methods & Software | 2002-02-07 | Paper |
Monotone variable-metric algorithm for linearly constrained nonlinear programming
Journal of Optimization Theory and Applications | 2001-06-24 | Paper |
The use of the Pontryagin maximum principle in a furtivity problem in time-dependent acoustic obstacle scattering.
Waves in Random Media | 2001-01-01 | Paper |
A stochastic algorithm for constrained global optimization
Journal of Global Optimization | 2000-09-14 | Paper |
Time harmonic electromagnetic scattering from a bounded obstacle: An existence theorem and a computational method
Journal of Mathematical Physics | 2000-08-16 | Paper |
Inverse problem for a class of two-dimensional diffusion equations with piecewise constant coefficients
Journal of Optimization Theory and Applications | 1999-12-17 | Paper |
Hamilton-based Numerical Methods for a Fluid-Membrane Interaction in Two and Three Dimensions
SIAM Journal on Scientific Computing | 1998-05-12 | Paper |
| scientific article; zbMATH DE number 1101500 (Why is no real title available?) | 1998-04-02 | Paper |
The time harmonic electromagnetic field in a disturbed half-space: An existence theorem and a computational method
Journal of Mathematical Physics | 1998-01-18 | Paper |
| scientific article; zbMATH DE number 1054751 (Why is no real title available?) | 1997-08-28 | Paper |
Three-dimensional time harmonic electromagnetic inverse scattering: The reconstruction of the shape and the impedance of an obstacle
Computers & Mathematics with Applications | 1997-07-23 | Paper |
| scientific article; zbMATH DE number 970344 (Why is no real title available?) | 1997-03-11 | Paper |
Modified Newton method in circular interval arithmetic
Journal of Optimization Theory and Applications | 1996-02-06 | Paper |
Asymptotic eigenvalue degeneracy for a class of three-dimensional Fokker–Planck operators
Journal of Mathematical Physics | 1995-01-01 | Paper |
A quadratically convergent method for linear programming
Linear Algebra and its Applications | 1991-01-01 | Paper |
